Honestly, it's quite hard to answer because your question should be answered by legal who work in EU or at least people who live in EU.
But the European Union is something else, and you asked a very interesting question: is there a way around the new rules that are being imposed on you, and has anyone tried anything yet? Can using a VPN and Monero help?
Using VPN and Monero might help, but the transactions should be small, IIRC you can withdraw your coins without need to submit KYC if you only withdraw less than $1K per day. The problem is when someone win a lot like $100K, will they choose to withdraw $1K per day? not to mention the fees charged by casino is really high.